{"title":"Mean-field type quadratic BSDEs","authors":"Hélène Hibon, Ying Hu, Shanjian Tang","doi":"10.3934/naco.2022009","DOIUrl":null,"url":null,"abstract":"<p style='text-indent:20px;'>In this paper, we give several new results on solvability of a quadratic BSDE whose generator depends also on the mean of both variables. First, we consider such a BSDE using John-Nirenberg's inequality for BMO martingales to estimate its contribution to the evolution of the first unknown variable. Then we consider the BSDE having an additive expected value of a quadratic generator in addition to the usual quadratic one. In this case, we use a deterministic shift transformation to the first unknown variable, when the usual quadratic generator depends neither on the first variable nor its mean. The general case can be treated by a fixed point argument.","PeriodicalId":44957,"journal":{"name":"Numerical Algebra Control and Optimization","volume":"9 1","pages":"0"},"PeriodicalIF":1.1000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Numerical Algebra Control and Optimization","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3934/naco.2022009","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 3
Abstract
In this paper, we give several new results on solvability of a quadratic BSDE whose generator depends also on the mean of both variables. First, we consider such a BSDE using John-Nirenberg's inequality for BMO martingales to estimate its contribution to the evolution of the first unknown variable. Then we consider the BSDE having an additive expected value of a quadratic generator in addition to the usual quadratic one. In this case, we use a deterministic shift transformation to the first unknown variable, when the usual quadratic generator depends neither on the first variable nor its mean. The general case can be treated by a fixed point argument.
期刊介绍:
Numerical Algebra, Control and Optimization (NACO) aims at publishing original papers on any non-trivial interplay between control and optimization, and numerical techniques for their underlying linear and nonlinear algebraic systems. Topics of interest to NACO include the following: original research in theory, algorithms and applications of optimization; numerical methods for linear and nonlinear algebraic systems arising in modelling, control and optimisation; and original theoretical and applied research and development in the control of systems including all facets of control theory and its applications. In the application areas, special interests are on artificial intelligence and data sciences. The journal also welcomes expository submissions on subjects of current relevance to readers of the journal. The publication of papers in NACO is free of charge.